金融研究 2025年12月10日 星期三 交易策略：中长期，我们维持做多经济的判断，当下以股指做多头替代有一定超额，推荐逢低配置各 品种远期合约。 金融期货早班车 招商期货有限公司 市场表现：12 月 9 日，A 股四大股指涨跌不一，其中上证指数下跌 0.37%，报收 3909.52 点；深成 指下跌 0.39%，报收 13277.36 点；创业板指上涨 0.61%，报收 3209.6 点；科创 50 指数下跌 0.27%， 报收 1347.11 点。市场成交 19,177 亿元，较前日减少 1,339 亿元。行业板块方面，综合(+3.45%)， 通信(+2.23%)，电子(+0.78%)涨幅居前；有色金属(-3.03%)，钢铁(-2.47%)，房地产(-2.1%)跌幅居 前。从市场强弱看，IF>IM>IH>IC，个股涨/平/跌数分别为 1,305/90/4,057。沪深两市，机构、主力、 大户、散户全天资金分别净流入-157、-203、48、312 亿元，分别变动-216、-151、+86、+281 亿 元。 股指期货 基差：IM、IC、IF、IH 次月合约基差分别为 109.98、82.53、30.22 ...

金融研究 2025年12月5日 星期五 | | 市场表现：12 月 日，A 股四大股指多数上涨，其中上证指数下跌 0.06%，报收 点；深成 4 3875.79 | | --- | --- | | | 指上涨 0.4%，报收 13006.72 点；创业板指上涨 1.01%，报收 3067.48 点；科创 50 指数上涨 1.36%， | | | 报收 1326.16 点。市场成交 15,617 亿元，较前日减少 1,219 亿元。行业板块方面，机械设备(+0.9%)， | | | 电子(+0.78%)，国防军工(+0.55%)涨幅居前；综合(-2.11%)，美容护理(-1.89%)，社会服务(-1.62%) | | | 跌幅居前。从市场强弱看，IH>IF>IC>IM，个股涨/平/跌数分别为 1,454/122/3,874。沪深两市，机构、 | | | 主力、大户、散户全天资金分别净流入-69、-145、6、209 亿元，分别变动+146、+92、-83、-155 | | 股指期货 | 亿元。 | | | 基差：IM、IC、IF、IH 次月合约基差分别为 111.46、86.61、34.37 与 14.54 点 ...

金融研究 2025年12月4日 星期四 金融期货早班车 招商期货有限公司 市场表现：12 月 3 日，A 股四大股指有所回调，其中上证指数下跌 0.51%，报收 3878 点；深成指 下跌 0.78%，报收 12955.25 点；创业板指下跌 1.12%，报收 3036.79 点；科创 50 指数下跌 0.89%， 报收 1308.37 点。市场成交 16,836 亿元，较前日增加 763 亿元。行业板块方面，交通运输(+0.69%)， 有色金属(+0.63%)，煤炭(+0.57%)涨幅居前；传媒(-2.86%)，计算机(-2.26%)，房地产(-1.53%)跌幅 居前。从市场强弱看，IF>IH>IC>IM，个股涨/平/跌数分别为 1,442/137/3,872。沪深两市，机构、主 力、大户、散户全天资金分别净流入-215、-238、89、364 亿元，分别变动-20、-121、+19、+123 亿元。 股指期货 基差：IM、IC、IF、IH 次月合约基差分别为 127.07、102.56、28.85 与 11.28 点，基差年化收益率 分别为-14.14%、-11.82%、-5.13%与-3.07%，三年期 ...

1. Report Industry Investment Rating - No relevant content provided 2. Core Viewpoints of the Report - For stock index futures, in the medium to long term, maintain the judgment of going long on the economy. Currently, using stock indices as a long - term substitute has certain excess returns, and it is recommended to allocate long - term contracts of various varieties on dips [2] - For treasury bond futures, in the short term, it is in a volatile state, and the valuation of interest - rate bonds has reached a reasonable level. In the medium to long term, with the upward risk preference and the expectation of economic recovery, it is recommended to hedge T and TL contracts on rallies [2] 3. Summary by Relevant Catalogs 3.1 Stock Index Futures - **Market Performance**: On December 1st, the four major A - share stock indices all rose. The Shanghai Composite Index rose 0.65%, the Shenzhen Component Index rose 1.25%, the ChiNext Index rose 1.31%, and the Sci - Tech Innovation 50 Index rose 0.72%. Market trading volume was 1889.4 billion yuan, an increase of 291.7 billion yuan from the previous day. In terms of industry sectors, non - ferrous metals (+2.85%), communications (+2.81%), and electronics (+1.58%) led the gains; agriculture, forestry, animal husbandry and fishery (-0.43%), environmental protection (-0.23%), and real estate (-0.06%) led the losses. From the perspective of market strength, IF>IC>IH>IM. The number of rising, flat, and falling stocks was 3396, 184, and 1868 respectively. In the Shanghai and Shenzhen stock markets, institutional, main, large - scale, and retail investors had net inflows of 4 billion, - 4.4 billion, - 1.5 billion, and 1.9 billion yuan respectively, with changes of - 5.2 billion, - 2 billion, + 6.5 billion, and + 0.7 billion yuan respectively [2] - **Basis and Annualized Yield**: The basis of the next - month contracts of IM, IC, IF, and IH were 171.28, 127.83, 35.49, and 14.08 points respectively, with annualized basis yields of - 17.57%, - 13.64%, - 5.87%, and - 3.56% respectively, and three - year historical quantiles of 10%, 10%, 19%, and 24% respectively [2] - **Trading Strategy**: In the medium to long term, maintain the judgment of going long on the economy. Currently, using stock indices as a long - term substitute has certain excess returns, and it is recommended to allocate long - term contracts of various varieties on dips [2] 3.2 Treasury Bond Futures - **Market Performance**: On December 1st, most interest - rate bonds rose. Among the active contracts, TS rose 0.03%, TF rose 0.1%, T rose 0.12%, and TL fell 0.08% [2] - **Cash Bonds**: The current active contracts and corresponding CTD bonds are as follows: for the 2 - year treasury bond futures, the CTD bond is 250017.IB, with a yield change of + 0bps, a corresponding net basis of - 0.049, and an IRR of 1.62%; for the 5 - year treasury bond futures, the CTD bond is 2500801.IB, with a yield change of - 0.75bps, a corresponding net basis of - 0.1, and an IRR of 1.8%; for the 10 - year treasury bond futures, the CTD bond is 250018.IB, with a yield change of - 0.85bps, a corresponding net basis of - 0.075, and an IRR of 1.71%; for the 30 - year treasury bond futures, the CTD bond is 210005.IB, with a yield change of - 0.5bps, a corresponding net basis of 0.078, and an IRR of 1.26% [2] - **Funding Situation**: In terms of open - market operations, the central bank's currency injection was 107.6 billion yuan, currency withdrawal was 338.7 billion yuan, and the net withdrawal was 231.1 billion yuan [2] - **Trading Strategy**: In the short term, it is in a volatile state, and the valuation of interest - rate bonds has reached a reasonable level. In the medium to long term, with the upward risk preference and the expectation of economic recovery, it is recommended to hedge T and TL contracts on rallies [2] 3.3 Economic Data - High - frequency data shows that this month's imports and exports and social activity sentiment are better than the same period, while the infrastructure sentiment is worse than the same period [10]

Report Information - Report Date: December 1, 2025 [1] - Report Company: China Merchants Futures Co., Ltd. [1] - Report Type: Financial Futures Morning Report [1] Market Performance A-share Market - On November 28, the four major A-share stock indexes rose across the board, with the Shanghai Composite Index up 0.34%, closing at 3,888.6 points; the Shenzhen Component Index up 0.85%, closing at 12,984.08 points; the ChiNext Index up 0.7%, closing at 3,052.59 points; and the Science and Technology Innovation 50 Index up 1.25%, closing at 1,327.15 points [2]. - Market turnover was 1.5977 trillion yuan, a decrease of 125.4 billion yuan from the previous day [2]. - In terms of industry sectors, steel (+1.59%), agriculture, forestry, animal husbandry and fishery (+1.59%), and commerce and retail (+1.46%) led the gains; banks (-0.83%), coal (-0.14%), and beauty care (+0.07%) led the losses [2]. - In terms of market strength, IC > IM > IF > IH, and the number of stocks rising/flat/falling were 4,122/139/1,187 respectively [2]. - In the Shanghai and Shenzhen stock markets, institutional, main, large - scale, and retail investors had net inflows of 9.2 billion, - 2.4 billion, - 8 billion, and 1.2 billion yuan respectively, with changes of +17.3 billion, +8.1 billion, - 8.3 billion, and - 17.1 billion yuan respectively [2]. Interest Rate Bond Market - On November 28, interest rate bonds showed mixed performance. Among the active contracts, TS fell 0.02%, TF fell 0.03%, T rose 0.03%, and TL rose 0.05% [3]. Futures Market Stock Index Futures - Basis: The basis of the next - month contracts of IM, IC, IF, and IH were 148.61, 113.55, 36.06, and 10.22 points respectively, with annualized basis yields of - 14.9%, - 11.87%, - 5.86%, and - 2.53% respectively, and three - year historical quantiles of 16%, 14%, 19%, and 26% respectively [3]. - Trading Strategy: In the medium - to - long term, maintain the judgment of going long on the economy. Currently, using stock index as a long - position substitute has certain excess returns. It is recommended to allocate long - term contracts of each variety on dips [3]. Treasury Bond Futures - Cash Bonds: The current active contract is the 2603 contract. The CTD bonds, yield changes, corresponding net basis, and IRR of 2 - year, 5 - year, 10 - year, and 30 - year treasury bond futures are as follows: for 2 - year, the CTD bond is 250017.IB, yield change is - 1.25bps, net basis is - 0.012, IRR is 1.51%; for 5 - year, the CTD bond is 2500801.IB, yield change is + 0.75bps, net basis is - 0.041, IRR is 1.6%; for 10 - year, the CTD bond is 250018.IB, yield change is - 0.9bps, net basis is - 0.03, IRR is 1.57%; for 30 - year, the CTD bond is 210005.IB, yield change is + 0bps, net basis is - 0.176, IRR is 1.93% [4]. - Funding Situation: In open - market operations, the central bank injected 301.3 billion yuan and withdrew 375 billion yuan, resulting in a net withdrawal of 73.7 billion yuan [4]. - Trading Strategy: In the short term, it is volatile, and the valuation of interest rate bonds has reached a reasonable level; in the medium - to - long term, with the increase in risk appetite and the expectation of economic recovery, it is recommended to hedge T and TL on rallies [4]. Economic Data - High - frequency data shows that this month's imports and exports and social activity sentiment are better than the same period, while infrastructure sentiment is worse than the same period [12]

金融研究 2025年11月24日 星期一 金融期货早班车 招商期货有限公司 市场表现：11 月 21 日，A 股四大股指延续调整，其中上证指数下跌 2.45%，报收 3834.89 点；深成 指下跌 3.41%，报收 12538.07 点；创业板指下跌 4.02%，报收 2920.08 点；科创 50 指数下跌 3.19%， 报收 1285.83 点。市场成交 19,836 亿元，较前日增加 2,610 亿元。行业板块方面，传媒(-0.32%)， 家用电器(-0.4%)，食品饮料(-0.88%)涨幅居前；综合(-5.5%)，有色金属(-5.26%)，电力设备(-5.17%) 跌幅居前。从市场强弱看，IH>IF>IC>IM，个股涨/平/跌数分别为 351/26/5,071。沪深两市，机构、 主力、大户、散户全天资金分别净流入-522、-464、195、791 亿元，分别变动-366、-254、+161、 股指期货 +459 亿元。 基差：IM、IC、IF、IH 次月合约基差分别为 49.5、47.41、25.21 与 9.45 点，基差年化收益率分别 为-8.34%、-8.28%、-6.74%与-3.81%，三 ...

2025年11月20日 星期四 金融研究 金融期货早班车 招商期货有限公司 | | 市场表现：11 月 日，A 股四大股指涨跌不一，其中上证指数上涨 0.18%，报收 点；深 19 3946.74 | | | | | | | | | | | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | | | 成指下跌 0%，报收 13080.09 点；创业板指上涨 0.25%，报收 3076.85 点；科创 50 指数下跌 | | | | | | | | | | | | 0.97%，报收 1344.8 点。市场成交 17,427 亿元，较前日减少 2,033 亿元。行业板块方面，有色金 | | | | | | | | | | | | | | | | | 属(+2.39%)，石油石化(+1.67%)，国防军工(+1.11%)涨幅居前；综合(-3.08%)，房地产(-2.09%)， | | | | | | | 1,196/76/4,173。沪 | | | | | | 传媒(-1.72%)跌幅居前。从市场强弱看，IH>IF>IC>IM，个股涨/ ...

金融研究 2025年11月19日 星期三 金融期货早班车 招商期货有限公司 市场表现：11 月 18 日，A 股四大股指有所调整，其中上证指数下跌 0.81%，报收 3939.81 点；深成 指下跌 0.92%，报收 13080.49 点；创业板指下跌 1.16%，报收 3069.22 点；科创 50 指数上涨 0.29%， 报收 1357.93 点。市场成交 19,460 亿元，较前日增加 156 亿元。行业板块方面，传媒(+1.6%)，计 算机(+0.93%)，电子(+0.12%)涨幅居前；煤炭(-3.17%)，电力设备(-2.97%)，钢铁(-2.85%)跌幅居前。 从市场强弱看，IH>IF>IM>IC，个股涨/平/跌数分别为 1,274/67/4,103。沪深两市，机构、主力、大 户、散户全天资金分别净流入-354、-270、154、471 亿元，分别变动-307、-149、+156、+300 亿 元。 股指期货 基差：IM、IC、IF、IH 次月合约基差分别为 96.3、71.22、13.19 与 5.42 点，基差年化收益率分别 为-13.47%、-10.37%、-3.01%与-1.88%，三年期 ...

金融研究 2025年11月18日 星期二 金融期货早班车 招商期货有限公司 市场表现：11 月 17 日，A 股四大股指有所调整，其中上证指数下跌 0.46%，报收 3972.03 点；深成 指下跌 0.11%，报收 13202 点；创业板指下跌 0.2%，报收 3105.2 点；科创 50 指数下跌 0.53%， 报收 1354.04 点。市场成交 19,303 亿元，较前日减少 501 亿元。行业板块方面，计算机(+1.67%)， 国防军工(+1.59%)，煤炭(+1.32%)涨幅居前；医药生物(-1.73%)，银行(-1.31%)，非银金融(-1.11%) 跌幅居前。从市场强弱看，IM>IC>IF>IH，个股涨/平/跌数分别为 2,582/138/2,724。沪深两市，机构、 主力、大户、散户全天资金分别净流入-47、-121、-3、171 亿元，分别变动+332、+120、-133、-318 亿元。 股指期货 基差：IM、IC、IF、IH 次月合约基差分别为 128.68、91.95、16.65 与 2.87 点，基差年化收益率分 别为-17.1%、-12.71%、-3.62%与-0.95%，三年期历 ...

金融研究 2025年11月17日 星期一 金融期货早班车 招商期货有限公司 市场表现：11 月 14 日，A 股四大股指有所调整，其中上证指数下跌 0.97%，报收 3990.49 点；深成 指下跌 1.93%，报收 13216.03 点；创业板指下跌 2.82%，报收 3111.51 点；科创 50 指数下跌 2.72%， 报收 1361.23 点。市场成交 19,804 亿元，较前日减少 853 亿元。行业板块方面，综合(+1.58%)，房 地产(+0.39%)，银行(+0.26%)涨幅居前；电子(-3.09%)，通信(-2.46%)，传媒(-2.16%)跌幅居前。从 市场强弱看，IH>IM>IF>IC，个股涨/平/跌数分别为 1,959/164/3,320。沪深两市，机构、主力、大户、 散户全天资金分别净流入-379、-241、131、489 亿元，分别变动-557、-188、+260、+484 亿元。 股指期货 基差：IM、IC、IF、IH 次月合约基差分别为 130.76、98.06、27.74 与 8.03 点，基差年化收益率分 别为-16.76%、-13.03%、-5.76%与-2.54%，三年 ...